We provide numerically reliable analytical expressions for the score of conditionally heteroskedastic dynamic regression models when the conditional distribution is multivariate t. We also derive one-sided and two-sided LM tests for multivariate normality versus multivariate t based on the first...

We show that the Jarque-Bera test, originally devised for constant conditional variance models with no functional dependence between conditional mean and variance parameters, can be safely applied to a broad class of GARCH-M models, but not to all